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首页> 外文期刊>The North American journal of economics and finance >The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data
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The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data

机译：亚洲有效汇率的时频共同运动：每日数据的小波方法

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摘要

To examine the co-movement characteristics of effective exchange rates across frequencies and over time, we employ the wavelet approach to analyze the daily data from four Asian economies. The empirical results indicate that: First, the foreign exchange markets of Japan and Korea are highly integrated at the scales of less than one year before 1995 and more than one year after 2005. Second, the degree of integration between Korea and Hong Kong is higher than that between Korea and Taiwan. Third, the exchange rate of Japan leads that of the others. Furthermore, to investigate the implications on portfolio diversification, we calculate the ratio of restricted to unrestricted value at risks (VaRs) and find that co-movement amplifies portfolio risks and this amplification increases with scale. In addition, to assess the stress performance of Asian foreign exchange markets conditional on a particular economy's state, we estimate the wavelet based conditional VaR (WCoVaR) and observe that the systematic risk is larger at the scale of 2-32 days than at other scales. Investors should consider these co-movement features and systematic risk distributions when diversifying in Asian foreign exchange markets.
机译：为了检验跨频率和随时间变化的有效汇率的共同变动特征，我们采用小波方法来分析来自四个亚洲经济体的每日数据。实证结果表明：首先，日本和韩国的外汇市场高度一体化，其规模在1995年之前不到一年，而在2005年之后则超过一年。其次，韩国和香港之间的一体化程度更高。比韩国和台湾之间的要高。第三，日本的汇率领先于其他国家。此外，为了研究对投资组合多元化的影响，我们计算了受限风险与非受限风险价值（VaRs）的比率，发现共同移动会放大投资组合风险，并且这种放大会随着规模的增加而增加。此外，为了评估以特定经济体状态为条件的亚洲外汇市场的压力表现，我们估计了基于小波的条件VaR（WCoVaR），并观察到在2-32天的规模内系统风险大于其他规模。在亚洲外汇市场进行多元化投资时，投资者应考虑这些共同发展特征和系统的风险分配。

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